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28 Sep 2019
Consider the two (excess return) index-model regression results for stocks A and B. The riskfree rate over the period was 5%, and the marketâs average return was 14%. Performance is measured using an index model regression on excess returns.
Stock A Stock B Index model regression estimates 1% + 1.2(rM â rf) 2% + .8(rM â rf) R-square 0.611 0.454 Residual standard deviation, Ï(e) 10.9% 19.7% Standard deviation of excess returns 22.2% 26.1%
a. Calculate the following statistics for each stock: (Round your answer to 4 decimal places. Omit the "%" sign in your response.)
Stock A Stock B i. Alpha % % ii. Information ratio iii. Sharpe measure iv. Treynor measure
Consider the two (excess return) index-model regression results for stocks A and B. The riskfree rate over the period was 5%, and the marketâs average return was 14%. Performance is measured using an index model regression on excess returns. |
Stock A | Stock B | ||||||||||
Index model regression estimates | 1% + 1.2(rM â rf) | 2% + .8(rM â rf) | |||||||||
R-square | 0.611 | 0.454 | |||||||||
Residual standard deviation, Ï(e) | 10.9% | 19.7% | |||||||||
Standard deviation of excess returns | 22.2% | 26.1% | |||||||||
a. | Calculate the following statistics for each stock: (Round your answer to 4 decimal places. Omit the "%" sign in your response.) |
Stock A | Stock B | ||||||||||
i. | Alpha | % | % | ||||||||
ii. | Information ratio | ||||||||||
iii. | Sharpe measure | ||||||||||
iv. | Treynor measure | ||||||||||
Tod ThielLv2
28 Sep 2019